Improving the performance of investing strategies - neues Buch

Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve "1/n portfolio", that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo Garlappi, and Raman Uppal in the paper "Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy?". Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon. Bücher / Fremdsprachige Bücher / Englische Bücher 978-3-8454-0483-7, LAP Lambert Academic Publishing

Xavier Saynac:

Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve "1/n portfolio", that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo Garlappi, and Raman Uppal in the paper "Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy?". Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon. Bücher / Fremdsprachige Bücher / Englische Bücher 978-3-8454-0483-7, LAP Lambert Acad. Publ.

In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve ´´1/n portfolio´´, that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo Garlappi, and Raman Uppal in the paper ´´Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy?´´. Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon. Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, LAP Lambert Acad. Publ.

[EAN: 9783845404837], Neubuch, [PU: LAP Lambert Academic Publishing, Germany], Language: English Brand New Book ***** Print on Demand *****.In this paper, we evaluate the performance of different mean-variance portfolios, relative to the na ve 1/n portfolio, that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo Garlappi, and Raman Uppal in the paper Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy? Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the na ve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon.

[EAN: 9783845404837], Neubuch, [PU: LAP Lambert Acad. Publ. Aug 2011], This item is printed on demand - Print on Demand Neuware - In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve 1/n portfolio , that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo Garlappi, and Raman Uppal in the paper Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy . Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon. 56 pp. Englisch